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33 min
1. Risk management: some lessons from the credit crisis- Mr. Edward Fishwick
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14. Conditional Value at Risk (CoVAR)- Mr. KiHoon Jimmy Hong
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15. Dependence modeling with copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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16. Extreme value theory and copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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Printable Handouts
Navigable Slide Index
- Introduction
- The Perfect Storm
- From extremes to copulas
- Correlation issues
- Correlation issues: data clouds
- Some real data: BMW and Siemens
- Summary
- Simulating random variables
- Definition of a copula
- Introducting Skar's theorem
- Skar's theorem
- Practical use of Skar's theorem
- Generating copulas
- Copulas and ranks
- Standard families: Gaussian and t copulas
- Other copula examples
- Revisiting the data clouds
- BMW's and Siemens's data revisited
- Maurice Frechet and Wasilly Hoeffding
- Frechet-Hoeffding bounds
- Implications of Hoeffding theorem
- An example for Hoeffding theorem
- Implications of the example
- Alternative correlation measures
- Linear correlation revisited
- An application to credit risk
- A simulation example (1)
- A simulation example (2)
- Tail dependence
- Tail dependence index
- Tail dependence index: properties
- Joint tail probabilities
- Warning notice!
- Bounds on risk measures
- An appraisal of copulas
- Back to BMW's and Siemens's data
- Copula craze
- Critical comments by Thomas Mikosch
- Copulas: how we view them
- Copula literature
- Postcriptum
Topics Covered
- Impact of extremes and dependence in finance and insurance
- Correlation issues
- Copulas and Sklar's theorem
- Copula generation
- Frechet-Hoeffding bounds
- Limitations of correlation
- Rank correlation measures
- An application to credit risk
- Tail dependence
- Bounds on risk measures
- Critical appraisal
Talk Citation
Embrechts, P. and Neslehova, J. (2007, October 1). Dependence modeling with copulas [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved January 2, 2025, from https://doi.org/10.69645/FQIQ6780.Export Citation (RIS)
